Let $f$ be a linear form on $\mathcal{M}_n(\mathbb{R})$, and let $A$ be the unique matrix in $\mathcal{M}_n(\mathbb{R})$ such that $\forall M \in \mathcal{M}_n(\mathbb{R}), f(M) = \operatorname{Tr}(AM)$.
Justify the existence of $M_n = \sup(\{f(O), O \in \mathrm{O}(n)\})$.